how do I convert t-bond yields into a price

[Poole]

must be easy to do on some website but I cant find it, tried google

specifically trying to convert say 30 year US Tbond yields into a price

for example its trading now at 118 (ZB future)

what price would it be if the yield dropped to 3.2%?

 

[Surdo]

This is the CASH calculation, Use an HP12C to calculate manually.

http://www.moneychimp.com/calculator/bond_yield_calculator.htm

 

[newbunch]

The future is not the same as cash. A 30-year bond future actually acts more like a 15-year bond (but not exactly) because the cheapest to deliver bond is about 15 years from maturity (this is true when interest rates are under 6%).

Here's the equation I used in Excel: =YIELDMAT(1,15*365.25,0,0.06,118)

I get a yield of 4.07%.

That actually makes sense because the 10 year yield is 3.92% and 30 year is 4.376% and 4.07% is right between that.

 

[Poole]

Quote from newbunch:

The future is not the same as cash. A 30-year bond future actually acts more like a 15-year bond (but not exactly) because the cheapest to deliver bond is about 15 years from maturity (this is true when interest rates are under 6%).

Here's the equation I used in Excel: =YIELDMAT(1,15*365.25,0,0.06,118)

I get a yield of 4.07%.

That actually makes sense because the 10 year yield is 3.92% and 30 year is 4.376% and 4.07% is right between that.

thanks for the help, I saved that into excel

anyone here actually reckon the 30 year will hit 3.2%?

one of the traders i know who has a good record especially in bonds is telling me he reckons the 30 year at 3.2% next year is a good possibility in his books (his rationale is fed rate cuts and them artifically pumping the 10+30 yrs to save housing)

 

[Surdo]

Quote from Poole:

thanks for the help, I saved that into excel

anyone here actually reckon the 30 year will hit 3.2%?

one of the traders i know who has a good record especially in bonds is telling me he reckons the 30 year at 3.2% next year is a good possibility in his books (his rationale is fed rate cuts and them artifically pumping the 10+30 yrs to save housing)

Does he work for Pimco?
What is the futures price equivalent in USH08 for 3.2 % 130 or higher?

 

[newbunch]

Quote from Surdo:

Does he work for Pimco?
What is the futures price equivalent in USH08 for 3.2 % 130 or higher?

About 133.15.
=PRICE(NOW(),NOW()+365.25*15,0.06,0.032,100,2,0)

 

[Poole]

according to me "new" spreadsheet calcs, 133 or so is the 3.20% price

hehe

no he isnt bill gross, and if he was, id be shorting bonds here and now if he told me that, lol

133 seems excessive lol. but looking back i see once it was 134??

 

[Surdo]

What happened to 128?

Spreadsheet malfunction!

I appreciate your enthusiasm, but I do not pay attention to anybody else's analysis in the bond market...... EVER!

Just trade the trend and you will be a rich man.


el surdo

 

[Poole]

Quote from Surdo:

What happened to 128?

Spreadsheet malfunction!

I appreciate your enthusiasm, but I do not pay attention to anybody else's analysis in the bond market...... EVER!

Just trade the trend and you will be a rich man.


el surdo

I'm champion at doing things wrong by trying to do too much at once

about 1 week ago my kid was yelling at me and i placed an order for 5 million usdchf in the wrong direction and only realized it about 1 hour later

then last friday i closed out a usdchf position on a subaccount at another broker and only today i realized i didnt even have a position, so i in fact opened a position

and then once i read a share price wrong , instead of 20 cents I thought the share price was 2 cents so I bought a 10x position size and didnt realize it for 2 months

 

[Poole]

Quote from Surdo:

What happened to 128?

Spreadsheet malfunction!

I appreciate your enthusiasm, but I do not pay attention to anybody else's analysis in the bond market...... EVER!

Just trade the trend and you will be a rich man.


el surdo

hehehe

Im actually trying to trade the 30 year tbond against my house

my logic is if the rates get too low ill just refinance into a better 30 year fixed and save money that way

so I am actually trading short the 30 year bond

I'm just trying to work out position sizing by listening to the gloom and doom types, to work out where the 30 year could possibly go, seems like the most optimistic out there are calling for 133/134 area, most seem to be calling for 121 area on the ZB futures